Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 10 (3D) Nov 11 (4D) Nov 12 (5D) Nov 13 (6D) Nov 14 (7D) Nov 17 (10D) Nov 18 (11D) Nov 19 (12D) Nov 20 (13D) Nov 21 (14D) Nov 28 (21D) Dec 05 (28D) Dec 12 (35D) Dec 19 (42D) Dec 26 (49D)
lower 659.297 657.491 655.90 654.462 653.139 649.658 648.617 647.623 646.67 645.753 640.085 635.308 631.098 627.293 623.793
upper 682.643 684.449 686.04 687.478 688.801 692.282 693.323 694.317 695.27 696.187 701.855 706.632 710.842 714.647 718.147
expected move 11.673 13.479 15.07 16.508 17.831 21.312 22.353 23.347 24.30 25.217 30.885 35.662 39.872 43.677 47.177
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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